clip-02-05.jl
Load Julia packages (libraries) needed for the snippets in chapter 0
using StatisticalRethinking, Optim
gr(size=(600,300));Plots.GRBackend()snippet 3.2
p_grid = range(0, step=0.001, stop=1)
prior = ones(length(p_grid))
likelihood = [pdf(Binomial(9, p), 6) for p in p_grid]
posterior = likelihood .* prior
posterior = posterior / sum(posterior)
samples = sample(p_grid, Weights(posterior), length(p_grid));
samples[1:5]5-element Array{Float64,1}:
0.689
0.71
0.776
0.696
0.807Draw 10000 samples from this posterior distribution
N = 10000
samples = sample(p_grid, Weights(posterior), N);10000-element Array{Float64,1}:
0.873
0.521
0.64
0.5
0.534
0.75
0.475
0.811
0.722
0.592
⋮
0.686
0.558
0.71
0.886
0.511
0.635
0.454
0.463
0.697In StatisticalRethinkingJulia samples will always be stored in an MCMCChains.Chains object.
chn = MCMCChains.Chains(reshape(samples, N, 1, 1), ["toss"]);Object of type Chains, with data of type 10000×1×1 Array{Float64,3}
Log evidence = 0.0
Iterations = 1:10000
Thinning interval = 1
Chains = 1
Samples per chain = 10000
parameters = toss
parameters
Mean SD Naive SE MCSE ESS
toss 0.638 0.1388 0.0014 0.0013 10000Describe the chain
describe(chn)Log evidence = 0.0
Iterations = 1:10000
Thinning interval = 1
Chains = 1
Samples per chain = 10000
parameters = toss
Empirical Posterior Estimates
───────────────────────────────────────
parameters
Mean SD Naive SE MCSE ESS
toss 0.638 0.1388 0.0014 0.0013 10000
Quantiles
───────────────────────────────────────
parameters
2.5% 25.0% 50.0% 75.0% 97.5%
toss 0.12 0.544 0.648 0.74 0.977Plot the chain
plot(chn)
snippet 3.4
Create a vector to hold the plots so we can later combine them
p = Vector{Plots.Plot{Plots.GRBackend}}(undef, 2)
p[1] = scatter(1:N, samples, markersize = 2, ylim=(0.0, 1.3), lab="Draws")
snippet 3.5
Analytical calculation
w = 6
n = 9
x = 0:0.01:1
p[2] = density(samples, ylim=(0.0, 5.0), lab="Sample density")
p[2] = plot!( x, pdf.(Beta( w+1 , n-w+1 ) , x ), lab="Conjugate solution")
Add quadratic approximation
plot(p..., layout=(1, 2))
End of 03/clip-02-05.jl
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